Untranslated regions (UTRs) are sections of the mRNA before the start codon and after the stop codon that are not translated, termed the five prime untranslated region (5' UTR) and three prime untranslated region (3' UTR), respectively. These regions are transcribed with the coding region and thus are exonic as they are present in the mature mRNA. Several roles in gene expression have been attributed to the untranslated regions, including mRNA stability, mRNA localization, and translational efficiency. The ability of a UTR to perform these functions depends on the sequence of the UTR and can differ between mRNAs.

Peter S. has given a good overview of the UTRs; one specific example you can look up is control of translational control of iron-binding proteins, such as ferritin. The mature mRNA of ferritin has a 5'-UTR that is folded into several hairpin, or "stem-loop" structures (so-called Iron regulatory element, IREs), which, when iron is scarce, are bound by a binding protein called iron regulatory protein (IRP), which prevents binding and tracking of the ribosomal translation initiation complex. When iron is abundant, the IRP is popped off the mRNA and is degraded, thus allowing translation initiation so ferritin can be produced. The work done on translational control of iron-binding proteins by Hamish Munro's lab, starting back in the mid-70s constitutes the classic example of 5'-UTR-mediated translational control. Other, more subtle control mechanisms have been described since then.

Precise roles of 3'-UTRs are less well understood, but there are several cases where it's known that the mRNA loops around so that the 3'-UTR is in intimate contact with the 5'-UTR, and modulates translational control.

To more directly answer your specific question, the major difference between introns and UTRs is that introns are noncoding regions of the initial pre-mRNA transcript, but are cut out of that transcript before it becomes mature mRNA and leaves the nucleus. UTRs are also noncoding, but the difference is, they ARE part of the mature mRNA, it's just that they flank (i.e. are outside of) the coding regions--their role is in modulation of mRNA stability and translational efficiency and activity. One very rough rule of thumb is that the longer the 5'-UTR of an mRNA is, the more likely it is to be under some form of translational control.

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